It should pick up the icon as well.
You can do this as many times as you need to (since you didn't say you needed to do this programatically with a script of some sort).
Once you have one shortcut on your desktop, you can simply right click on it, then drag & drop and select "copy".
Alternatively, left click select it, then use "Ctrl+C" and "Ctrl+V" to place a copy.
Would you mind explaining why you need (or want) to do this?
As the others have pointed out, you can easily make hundreds of shortcuts to the Internet Explorer application; you could cover your desktop with these shortcuts, but what would be the point?
Just open IE and browse to the site you want to create a shortcut to, then simply drag and drop the icon (circled in red) in the address bar to your desktop. Repeat this for every site you need.
...but rather than clog up your desktop, why not just use the Favourites function?
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